Already the half had passed the perilous way and the falls of Thorn Sir, when that Balrog that was with the rearward foe leapt with great might on certain lofty rocks that stood into the path on the left side upon the lip of the chasm, and thence with a leap of fury he was past Glorfindel’s men and among the women and the sick in front, lashing with his whip of flame.
Seems pretty clear that at this point in JRRT's envisioning of Balrogs, they don't have wings since they have to leap up to a higher stone.
